VPN stands for Virtual Private Network. Some services such as downloads from department websites can only be accessed by a computer based within the University.
A VPN provides your computer with a virtual connection to the university network. Your computer then acts as though it were based in Oxford, and you can access full university services.
Remember that whilst your VPN is on you are part of the Oxford network so don't do anything you wouldn't do when connected to eduroam or BNCwifi.
Full documentation for using the VPN can be found at the Oxford IT services here.